When/where to steep specialty grains in PM

[dancness]

So if I'm doing a PM BIAB method, and I'm using that Deathbrewer guy's method (mash kettle and sparge kettle, then combine the two), where/when should I steep my specialty grains? Should I just throw them in with the mash or should I steep them in my sparge water for 1/2 hour and remove them right before I sparge?

I'm guessing there are many ways to do this (as there always is with brewing) but I'd like to know how you do it. Please share.

 

[BendBrewer]

Yes, all grains go in together.